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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2013.12
- 수록면
- 1,503 - 1,520 (18page)
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초록· 키워드
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For multi-line insurance companies, allocating the risk capital to each line is a widely-accepted risk management exercise. In this article we consider several applications of the Euler capital allocation. First, we propose visual tools to present the diversification and the line-wise performance for a given loss portfolio so that the risk managers can understand the interactions among the lines. Secondly, on theoretical side, we prove that the Euler allocation is the directional derivative of the marginal or incremental allocation method, an alternative capital allocation rule in the literature. Lastly, we establish the equivalence between the mean-shortfall optimization and the RORAC optimization when the risk adjusted capital is the expected shortfall, and show how to construct the optimal insurance business mix that maximizes the portfolio RORAC. An actual loss sample of an insurance portfolio is used for numerical illustrations.
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참고문헌 (35)
참고문헌 신청
1. [단행본] - Albrecht, P. / 2006 / Risk based capital allocation, In Encyclopedia of Actuarial Sciences / John Wiley & Sons
2. [학술지(정기간행물)] - Artzner, P. / 1999 / Coherent measure of risk / Mathematical Finance 9 : 203 ~ 228
3. [단행본] - BCBS / 2006 / International convergence of capital measurement and capital standards: A revised framework comprehensive version / Basel Committee on Banking Supervision
4. [학술지(정기간행물)] - Bertsimas, D. / 2004 / Shortfall as a risk measure : Properties, optimization and applications / Journal of Economic Dynamics and Control 28 : 1353 ~ 1381
5. [학술지(정기간행물)] - Buch, A. / 2011 / Risk capital allocation for RORAC optimization / Journal of Banking and Finance 35 : 3001 ~ 3009
2. [학술지(정기간행물)] - Artzner, P. / 1999 / Coherent measure of risk / Mathematical Finance 9 : 203 ~ 228
3. [단행본] - BCBS / 2006 / International convergence of capital measurement and capital standards: A revised framework comprehensive version / Basel Committee on Banking Supervision
4. [학술지(정기간행물)] - Bertsimas, D. / 2004 / Shortfall as a risk measure : Properties, optimization and applications / Journal of Economic Dynamics and Control 28 : 1353 ~ 1381
5. [학술지(정기간행물)] - Buch, A. / 2011 / Risk capital allocation for RORAC optimization / Journal of Banking and Finance 35 : 3001 ~ 3009
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UCI(KEPA) : I410-ECN-0101-2018-041-001374381